I adopted Lexi and Thea last November and they were very scared. They won't be caught now but are very cheeky (especially Lexi). Some piggies just don't like being picked up. I herd them into a hidey when I need to pick them up. Every night for the first 4-5 months they were here, I hand fed them their veggies just so that they would get used to my smell and my voice and their new names. They come and see me now and Lexi started talking the other day. Until now she's been silent.
Lexi was so very scared and when she arrived she was almost wild. I could only hold onto her for a few seconds first of all, now we have slowly build up trust between us and I can give her a cuddle for about 5 mins as long as she is covered with something like my cardigan or a blanket so she feels safe. Thea is a bit better and doesn't need to be covered up during cuddle time. They aren't handled every day as I don't want to stress them out. Once a week at their health check is enough for them at the moment.
Just take it at your piggies pace and you will be rewarded. Sometimes it can take years for a piggy to trust you. Some piggies have a much stronger prey instinct than others. Everything new is scary and they don't know that you're not going to eat them, you have to teach them that.
Three weeks isn't very long at all for new piggies in a strange and scary environment.